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Robust test for dispersion parameter change in discretely observed diffusion processes - MaRDI portal

Robust test for dispersion parameter change in discretely observed diffusion processes

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Publication:6321220

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DOI10.1016/J.CSDA.2019.106832zbMath1507.62159arXiv1906.12208WikidataQ127321602 ScholiaQ127321602MaRDI QIDQ6321220

Publication date: 28 June 2019

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

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